We analyse macro financial linkages in the Danish economy by estimating a structural VAR model using Bayesian techniques and construct a new financial condition index for the Danish economy. We measure financial conditions as the aggregate impact of financial variables on real activity from the...

Increases in long-term interest rates such as in 2021 entail a jump in the duration of Danish long-term mortgage bonds via an embedded prepayment option. The jump in duration may lower the demand for duration and thus longterm bonds. This may lead to selfreinforcing effects. Jumps in duration in...